I always try to see Radiohead as many times as possible when they're on tour (which they will be again later this year). They really breathe new life into their songs, change the setlist every night and frequently road-test new material to get it into shape - they're one the few bands where I actively look forward to hearing them do new songs rather than the old standards. They have this unjustified 'miserable' tag that completely belies how dynamic they are as a live act.
Another band who do different setlists each night are REM - I love that element of not knowing exactly which songs you're going to hear. For big showy extravaganzas, Madonna and Kylie are always reliable.